Girsanov theorem for anticipative shifts on Poisson space

نویسنده

  • Nicolas Privault
چکیده

We study the absolute continuity of the image measure of the canonical Poisson probability measure under nonlinear shifts. The Radon-Nykodim density function is expressed using a Carleman-Fredholm determinant and a divergence operator. Results are obtained for non-necessarily invertible transformations, under almost-sure differentiability hypothesis.

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تاریخ انتشار 2009